Banach geometry of financial market models
- 作者: Zabreiko P.1,2, Lebedev A.1,2
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隶属关系:
- Mechanics and Mathematics Faculty
- University of Bialystok
- 期: 卷 95, 编号 2 (2017)
- 页面: 164-167
- 栏目: Mathematics
- URL: https://journals.rcsi.science/1064-5624/article/view/224947
- DOI: https://doi.org/10.1134/S106456241702020X
- ID: 224947
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详细
Banach geometric objects imitating a phenomenon of the type of the absence of arbitrage in financial markets models are analyzed. The role played in this field by reflexive subspaces (which replace classically considered finite-dimensional subspaces) and by plasterable cones is revealed. A series of new geometric criteria for the absence of arbitrage are proved. An alternative description of the existence of a martingale measure is given, which does not use dual objects.
作者简介
P. Zabreiko
Mechanics and Mathematics Faculty; University of Bialystok
Email: lebedev@bsu.by
白俄罗斯, Minsk, 220050; Bialystok
A. Lebedev
Mechanics and Mathematics Faculty; University of Bialystok
编辑信件的主要联系方式.
Email: lebedev@bsu.by
白俄罗斯, Minsk, 220050; Bialystok